United States v. Coscia

United States of America, Plaintiff-Appellee,v.Michael Coscia, Defendant-Appellant.

Argued
November 10, 2016

Appeal
from the United States District Court for the Northern
District of Illinois, Eastern Division. No. l:14-cr-00551-l -
Harry D. Leinenweber, Judge.

Before
Ripple, Manion, and Rovner, Circuit Judges.

RIPPLE, CIRCUIT JUDGE.

Today
most commodities trading takes place on digital markets where
the participants utilize computers to execute hyper-fast
trading strategies at speeds, and in volumes, that far
surpass those common in the past. This case involves
allegations of spoofing[1] and commodities fraud in this new
trading environment. The Government alleged that Michael
Coscia commissioned and utilized a computer program designed
to place small and large orders simultaneously on opposite
sides of the commodities market in order to create illusory
supply and demand and, consequently, to induce artificial
market movement. Mr. Coscia was charged with violating the
anti-spoofing provision of the Commodity Exchange Act, 7
U.S.C. §§ 6c(a)(5)(C) and 13(a)(2), and with
commodities fraud, 18 U.S.C. § 1348(1). He was convicted
by a jury and later sentenced to thirty-six months'
imprisonment.[2]

Mr.
Coscia now appeals.[3] He submits that the anti-spoofing statute
is void for vagueness and, in any event, that the evidence on
that count did not support conviction. With respect to the
commodities fraud violations, he submits that the Government
produced insufficient evidence and that the trial court
applied an incorrect materiality standard. Finally, he
contends that the district court erred in adjudicating his
sentence by adding a fourteen-point loss enhancement.

We
cannot accept these submissions. The anti-spoofing provision
provides clear notice and does not allow for arbitrary
enforcement. Consequently, it is not unconstitutionally
vague. Moreover, Mr. Coscia's spoofing conviction is sup-
ported by sufficient evidence. With respect to the
commodities fraud violation, there was more than sufficient
evidence to support the jury's verdict, and the district
court was on solid ground with respect to its instruction to
the jury on materiality. Finally, the district court did not
err in applying the fourteen-point loss enhancement.

I

BACKGROUND

A.

The
charges against Mr. Coscia are based on his use of
preprogrammed algorithms to execute commodities trades in
high-frequency trading.[4] This sort of trading "is a
mechanism for making large volumes of trades in securities
and commodities based on trading decisions effected in
fractions of a second."[5] Before proceeding with the
particular facts of this case, we pause to describe the
trading environment in which these actions took place.

The
basic process at the core of high-frequency trading is fairly
straightforward: trading firms use computer software to
execute, at very high speed, large volumes of trades. A
number of legitimate trading strategies can make
this practice very profitable. The simplest approaches take
advantage of the minor discrepancies in the price of a
security or commodity that often emerge across national
exchanges. These price discrepancies allow traders to
arbitrage between exchanges by buying low on one and selling
high on another. Because any such price fluctuations are
often very small, significant profit can be made only on a
high volume of transactions. Moreover, the discrepancies
often last a very short period of time (i.e., fractions of a
second); speed in execution is therefore an essential
attribute for firms engaged in this business.[6]

Although
high-frequency trading has legal applications, it also has
increased market susceptibility to certain forms of criminal
conduct. Most notably, it has opened the door to spoofing,
which Congress criminalized in 2010 as part of the Dodd-Frank
Wall Street Reform and Consumer Protection Act, Pub. L. No.
111-203, 124 Stat. 1376 (2010). The relevant provision
proscribes "any trading, practice, or conduct that...
is, is of the character of, or is commonly known to the trade
as, 'spoofing' (bidding or offering with the intent
to cancel the bid or offer before execution)." 7 U.S.C.
§ 6c(a)(5).[7] For present purposes, a bid is an order to
buy and an offer is an order to sell.

In
practice, spoofing, like legitimate high-frequency trading,
utilizes extremely fast trading strategies. It differs from
legitimate trading, however, in that it can be employed to
artificially move the market price of a stock or
commodity up and down, instead of taking advantage of natural
market events (as in the price arbitrage strategy discussed
above). This artificial movement is accomplished in a number
of ways, although it is most simply realized by placing large
and small orders on opposite sides of the market. The small
order is placed at a desired price, which is either above or
below the current market price, depending on whether the
trader wants to buy or sell. If the trader wants to buy, the
price on the small batch will be lower than the market price;
if the trader wants to sell, the price on the small batch
will be higher. Large orders are then placed on the opposite
side of the market at prices designed to shift the market
toward the price at which the small order was listed.

For
example, consider an unscrupulous trader who wants to
buy corn futures at $3.00 per bushel in a market
where the current price is $3.05 per bushel. Under the basic
laws of supply and demand, this trader can drive the price
downward by placing sell orders for large numbers of
corn futures on the market at incrementally decreasing prices
(e.g., $3.04, then $3.03, etc.), until the market appears to
be saturated with individuals wishing to sell, the price
decreases, and, ultimately, the desired purchase price is
reached. In short, the trader shifts the market downward
through the illusion of downward market movement resulting
from a surplus of supply. Importantly, the large,
market-shifting orders that he places to create this illusion
are ones that he never intends to execute; if they were
executed, our unscrupulous trader would risk extremely large
amounts of money by selling at suboptimal prices. Instead,
within milliseconds of achieving the desired downward market
effect, he cancels the large orders.

Once
our unscrupulous trader has acquired the commodity or stock
at the desired price, he can then sell it at a
higher price than that at which he purchased it by operating
the same scheme in reverse. Specifically, he will place a
small sell order at the desired price and then place large
buy orders at increasingly high prices until the market
appears flooded with demand, the price rises, and the desired
value is hit. Returning to the previous example, if our
unscrupulous trader wants to sell his corn futures (recently
purchased at $3.00 per bushel) for $3.10 per bushel, he will
place large buy orders beginning at the market rate ($3.00),
quickly increasing that dollar value (e.g., $3.01, then
$3.02, then $3.03, etc.), creating an appearance of
exceedingly high demand for corn futures, which raises the
price, until the desired price is hit. Again, the large
orders will be on the market for incredibly short periods of
time (fractions of a second), although they will often occupy
a large portion of the market in order to efficiently shift
the price.

B.

On
October 1, 2014, a grand jury indicted Mr. Coscia for
spoofing and commodities fraud based on his 2011 trading
activity. Prior to trial, he moved to dismiss the indictment,
arguing that the anti-spoofing provision was
unconstitutionally vague. He further argued that he did not
commit commodities fraud as a matter of law. The district
court rejected both arguments.

Trial
began on October 26, 2015, and lasted seven days. The
testimony presented at trial explained that the relevant
conduct began in August of 2011, lasted about ten weeks, and
followed a very particular pattern. When he wanted to
purchase, Mr. Coscia would begin by placing a small order
requesting to trade at a price below the current market
price. He then would place large-volume orders, known as
"quote orders, "[8] on the other side of the market. A
small order could be as small as five futures contracts,
whereas a large order would represent as many as fifty or
more futures contracts. At times, his large orders risked up
to $50 million.[9] The large orders were generally placed in
increments that quickly approached the price of the small
orders.

Mr.
Coscia's specific activity in trading copper futures
helps to clarify this dynamic. During one round of trading,
Mr. Coscia placed a small sell order at a price of 32755,
[10]which was, at that time, higher than the
current market price.[11] Large orders were then placed on the
opposite side of the market (the buy side) at steadily
growing prices, which started at 32740, then increased to
32745, and increased again to 32750.[12] These buy orders created
the illusion of market movement, swelling the perceived value
of any given futures contract (by fostering the illusion of
demand) and allowing Mr. Coscia to sell his current contracts
at the desired price of 32755 -a price equilibrium that he
created.

Having
sold the five contracts for 32755, Mr. Coscia now
needed to buy the contracts at a lower price in
order to make a profit. Accordingly, he first placed an order
to buy five copper futures contracts for 32750, which was
below the price that he had just created.[13] Second, he
placed large-volume orders on the opposite side of the market
(the sell side), which totaled 184 contracts. These contracts
were priced at 32770, and then 32765, which created downward
momentum on the price of copper futures by fostering the
appearance of abundant supply at incrementally decreasing
prices. The desired devaluation of the contracts was almost
immediately achieved, allowing Mr. Coscia to buy his small
orders at the artificially deflated price of 32750. The large
orders were then immediately cancelled.[14] The whole
process outlined above took place in approximately two-thirds
of a second, and was repeated tens of thousands of times,
resulting in over 450, 000 large orders, and earning Mr.
Coscia $1.4 million. All told, the trial evidence suggested
that this process allowed Mr. Coscia to buy low and sell high
in a market artificially distorted by his actions.

The
Government also introduced evidence regarding Mr.
Coscia's intent to cancel the large orders prior to their
execution. The primary items of evidence in support of this
allegation were the two programs that Mr. Coscia had
commissioned to facilitate his trading scheme: Flash Trader
and Quote Trader. The designer of the programs, Jeremiah
Park, testified that Mr. Coscia asked that the programs act
"[l]ike a decoy/' which would be "[u]sed to
pump [the] market."[15]Park interpreted this direction as a
desire to "get a reaction from the other
algorithms."[16] In particular, he noted that the
large-volume orders were designed specifically to avoid being
filled and accordingly would be canceled in three particular
circumstances: (1) based on the passage of time (usually
measured in milliseconds); (2) the partial filling of the
large orders; or (3) complete filling of the small
orders.[17]

A great
deal of testimony was presented at trial to support the
contention that Mr. Coscia's programs functioned within
their intended parameters. For example, John Redman, a
director of compliance for Intercontinental Exchange, Inc.,
[18]
testified that Mr. Coscia

would place a small buy or sell order in the market, and then
immediately after that, he would place a series of much
larger opposite orders in the market, progressively improving
price levels toward the previous order that he placed. That
small initial order would trade, and then the large order
would be canceled and be replaced by a small order, and the
large orders in the opposite direction will have previously
taken place. [19]

Redman
further testified that Mr. Coscia placed 24, 814 large orders
between August and October 2011, although he only traded on
0.5% of those orders.[20] During this same period he placed 6,
782 small orders on the Intercontinental Exchange and
approximately 52% of those orders were filled.[21] Mr. Redman
additionally explained that this activity made the small
orders "100 times" more likely to be filled than
the large-volume orders.[22] Mr. Redman made clear that this was
highly unusual:

What we normally see is people placing orders of roughly the
same size most of the time and, therefore, there aren't
two order sizes in use with a different cancellation rate
between them. There's just one order size in use and the
cancellation rate is, there's just one.[23]

Finally,
Mr. Redman also noted that Mr. Coscia's order-to-fill
ratio (i.e., the average size of the order he showed to the
market divided by the average size of the orders
filled)[24] was approximately 1, 600%, whereas other
traders generally presented ratios of between 91% and
264%.[25]

Other
traders testified to the effect of Mr. Coscia's trading
on their businesses. For example, Anand Twells of Citadel,
LLC, explained that his firm lost $480 in 400 milliseconds as
a result of trading with Mr. Coscia.[26] Similarly, Hovannes
Der-menchyan of Teza Technologies testified that he
"lost $10, 000 over the course of an hour" of
trading with Mr. Coscia.[27] Finally, Alexander Gerko of XTX
Markets described how his firm "probably lost low
hundreds of thousands of dollars" as a result of Mr.
Coscia's actions.[28]

The
Government also introduced Mr. Coscia's prior testimony
from a deposition taken by the Commodity Futures Trading
Commission. In that deposition, Mr. Coscia explained the
logic behind his trading as follows:

The logic is I wanted to make a program with two sides. I
noticed there was more trading done when one side was larger
than the other, and I made a program to make a market as
tight as possible with different lopsided markets.

. . . .

I watched the screen, and through watching the screen for
years or weeks, I noticed that when there was a larger order
and smaller order, a lopsided market, there was more of a
tendency for trading to occur.[29]

When
pressed on why he designed the program to cancel when the
large orders risked being filled, without placing similar
parameters on the small orders, Mr. Coscia simply stated
"[t]hat's just how it was programmed. I don't
give it much thought beyond that."[30] At trial, Mr.
Coscia further testified that, "Obviously, there's
less risk there. I thought it was common sense. But I should
have given more of an explanation."[31] Ultimately,
as explained by his counsel in summation, Mr. Coscia's
defense was that he "placed real orders that were
exactly that, orders that were tradeable."[32]

The
jury convicted Mr. Coscia on all counts. Mr. Coscia then
filed a motion for acquittal. The district court denied the
motion in a memorandum opinion and order issued on April 6,
2016. The district court determined that the evidence was
sufficient to prove that Mr. Coscia committed commodities
fraud and that his deception was material. Moreover, with
respect to the spoofing charge, the court held that the
statute was not void for vagueness. Finally, the court denied
a challenge to the definition of materiality provided in the
commodities fraud jury instructions.

Thereafter,
the district court, applying a fourteen-point enhancement for
the estimated loss attributable to the illegal actions,
sentenced Mr. Coscia to thirty-six months' imprisonment
to be followed by two years' supervised release.

II

DISCUSSION

A.

We
begin with Mr. Coscia's contention that the
anti-spoof-ing provision is unconstitutionally vague. For the
convenience of the reader, we set forth the statutory
provision in its entirety:

(5) Disruptive practices

It shall be unlawful for any person to engage in any trading,
practice, or conduct on or subject to the rules of a
registered entity that-

. . .

(C) is, is of the character of, or is commonly known to the
trade as, "spoofing" (bidding or offering with the
intent to cancel the bid or offer before execution).

7 U.S.C. § 6c(a)(5). The Fifth Amendment's guarantee
that "[n]o person shall ... be deprived of life,
liberty, or property, without due process of law"
forbids vague criminal laws. U.S. Const, amend. V.;
Johnson v. United States,135 S.Ct. 2551, 2556
(2015). This constitutional proscription gives rise to the
general rule that "prohibits the government from
imposing sanctions under a criminal law so vague that it
fails to give ordinary people fair notice of the conduct it
punishes, or so stand-ardless that it invites arbitrary
enforcement." Welch v. United States, 136 S.Ct.
1257, 1262 (2016) (internal quotation marks omitted). We
review a challenge to a statute's constitutionality,
including vagueness challenges, de novo. See United
States v. Leach,639 F.3d 769, 772 (7th Cir. 2011).

1.

Mr.
Coscia first submits that the statute gives inadequate notice
of the proscribed conduct. He submits that Congress did not
intend the parenthetical included in the statute to define
spoofing.[33] Mr. Coscia contends that, by
"placing 'spoofing' in quotation marks and
referring to a 'commonly known' definition in the
trade, Congress clearly signaled its (mistaken) belief that
the definition of 'spoofing' had been established in
the industry as a term of art."[34] In support of this
argument, he further submits that this statutory structure
mirrors the "wash sale" provision of the Commodity
Exchange Act[35] and that this "parallel approach in
statutory structure strongly suggests that Congress intended
for the 'spoofing' definition, like the 'wash
sale' definition, to be established by sources outside
the statutory text."[36] We cannot accept this
argument; it overlooks that the anti-spoofing pro- vision,
unlike the wash sale provision, contains a parenthetical
definition, rendering any reference to an industry definition
irrelevant.[37]

Relying
on Chickasaw Nation v. United States,534 U.S. 84
(2001), Mr. Coscia next submits that the "use of
parentheses emphasizes the fact that that which is within is
meant simply to be illustrative, " id. at 89.
The provision at issue in Chickasaw Nation, a
portion of the Indian Gaming Regulatory Act, Pub. L. No.
100-497, 102 Stat. 2467 (1988), referred to "[t]he
provisions of Title 26 (including sections 1441,
3402(q), 6041, and 60501, and chapter 35 of such
title)." 25 U.S.C. § 2719(d)(1) (emphasis added).
The anti-spoofing statute, on the other hand, reads:

It shall be unlawful for any person to engage in any trading,
practice, or conduct on or subject to the rules of a
registered entity that-

. . . .

(C) is, is of the character of, or is commonly known to the
trade as, "spoofing" (bidding or offering with the
intent to cancel the bid or offer before execution).

7 U.S.C. § 6c(a)(5). Comparing the statutes, it is clear
that, in the Indian Gaming Regulatory Act, the use of the
word "including" rendered the parenthetical
illustrative. The anti-spoofing provision, however, has no
such language and is thus meaningfully different. The Supreme
Court has read parenthetical language like the language
before us today as definitional instead of illustrative.
See, e.g., Lopez v. Gonzales,549 U.S. 47, 52-53
(2006).[38] In any event, this argument does little
to aid Mr. Coscia because, here, the charged conduct clearly
falls within the ambit of the statute regardless whether the
parenthetical is an example or a definition.

In the
same vein, Mr. Coscia contends that the lack of a Commodity
Futures Trading Commission regulation defining the contours
of spoofing adds to his lack of notice. Nonetheless, the
Supreme Court has explained that "the touchstone [of a
fair warning inquiry] is whether the statute, either standing
alone or as construed, made it reasonably clear at the
relevant time that the defendant's conduct was
criminal." United States v. Lanier, 520 U.S.
259, 267 (1997). Consequently, because the statute clearly
defines "spoofing" in the parenthetical, Mr. Coscia
had adequate notice of the prohibited conduct.

Mr.
Coscia also makes a broader notice argument. He contends, in
effect, that the absence of any guidance external to
the statutory language-no legislative history, no recognized
industry definition, no Commodity Futures Trading Commission
rule-leaves a person of ordinary intelligence to speculate
about the definition Congress intended when it placed
"spoofing" in quotation marks.[39] In support of
this argument, Mr. Coscia relies on Upton v. S.E.C.,75 F.3d 92 (2d Cir. 1996). In that case, the defendant had
technically complied with the requirements of a rule, but the
SEC took the position that his actions nevertheless violated
the spirit and purpose of the rule. Prior to the issuance of
an interpretive memorandum explaining that position,
"[t]he Commission was aware that brokerage firms were
evading the substance of Rule 15c3-3(e)." Id.
at 98. Nonetheless, "[a]part from issuing one consent
order carrying 'little, if any, precedential weight/ the
Commission took no steps to advise the public that it
believed the practice was questionable until August 23, 1989,
after Upton had already stopped the practice."
Id. (internal citation omitted). Accordingly,
"[b]ecause there was substantial uncertainty in the
Commission's interpretation of Rule 15c3-3(e), " the
court held that "Upton was not on reasonable notice that
[his] conduct might violate the Rule." Id.

The
present situation is wholly different from the one in
Upton. Here, Congress enacted the anti-spoofing
provision specifically to stop spoofing-a term it defined in
the statute. Accordingly, any agency inaction-the issue
presented by Upton-is irrelevant; Congress provided
the necessary definition and, in doing so, put the trading
community on notice. Lanier, 520 U.S. at 267
(explaining that "the touchstone is whether the statute,
either standing alone or as construed, made it reasonably
clear at the relevant time that the defendant's conduct
was criminal").

For the
same reason, the arguments about a lack of industry
definition or legislative history are irrelevant. The statute
"standing alone" clearly proscribes the conduct;
the term "spoofing" is defined in the statute.
Id.[40]

2.

Mr.
Coscia next contends that, even if the statute gives adequate
notice, the parenthetical definition encourages arbitrary
enforcement. He specifically notes that high-frequency
traders cancel 98% of orders before execution and that there
are simply no "tangible parameters to distinguish [Mr.]
Coscia's purported intent from that of the other
traders."[41]

This
argument does not help Mr. Coscia. The Supreme Court has made
clear that "[a] plaintiff who engages in some conduct
that is clearly proscribed cannot complain of the vagueness
of the law as applied to the conduct of others."
Holder v. Humanitarian Law Project,561 U.S. 1,
18-19 (2010) (alteration in original); see also United
States v. Morris,821 F.3d 877, 879 (7th Cir. 2016)
("Vagueness challenges to statutes that do not involve
First Amendment interests are examined in light of the facts
of the case at hand."). Rather, the defendant must prove
that his prosecution arose from arbitrary
enforcement. As explained by the Second Circuit, this inquiry
"involve[s] determining whether the conduct at issue
falls so squarely in the core of what is prohibited by the
law that there is no substantial concern about arbitrary
enforcement because no reasonable enforcing officer could
doubt the law's application in the circumstances."
Farrell v. Burke,449 F.3d 470, 494 (2d Cir. 2006).

Mr.
Coscia cannot claim that an impermissibly vague statute has
resulted in arbitrary enforcement because his conduct falls
well within the provision's prohibited conduct: he
commissioned a program designed to pump or deflate the market
through the use of large orders that were specifically
designed to be cancelled if they ever risked actually
being filled. His program would cancel the large orders (1)
after the passage of time, (2) if the small orders were
filled, or (3) if a single large order was filled. Read
together, these parameters clearly indicate an intent to
cancel, which was further supported by his actual trading
record. Accordingly, because Mr. Coscia's behavior
clearly falls within the confines of the conduct prohibited
by the statute, he cannot challenge any allegedly arbitrary
enforcement that could hypothetically be suffered by a
theoretical legitimate trader.[42]

Moreover,
even if Mr. Coscia could challenge the statute, we do not
believe that it permits arbitrary enforcement. When we
examine the possibility of a statute's being enforced
arbitrarily, we focus on whether the statute
"impermissibly delegates to law enforcement the
authority to arrest and prosecute on 'an ad hoc and
subjective basis.'" Bell v. Keating, 697
F.3d 445, 462 (7th Cir. 2012). In undertaking this inquiry,
we have noted that, "[w]hen the government must prove
intent and knowledge, these requirements ... do much to
destroy any force in the argument that application of the
[statute] would be so unfair that it must be held
invalid[.]" United States v. Calimlim, 538 F.3d
706, 711 (7th Cir. 2008) (second, third, and fourth
alterations in original) (internal citations omitted). We
also have underscored "that a statute is not vague
simply because it requires law enforcement to exercise some
degree of judgment." Bell, 697 F.3d at 462.

The
text of the anti-spoofing provision requires that an
individual place orders with "the intent to cancel the
bid or offer before execution." 7 U.S.C. §
6c(a)(5)(C). This phrase imposes clear restrictions on whom a
prosecutor can charge with spoofing; prosecutors can charge
only a person whom they believe a jury will find possessed
the requisite specific intent to cancel orders at the time
they were placed. Criminal prosecution is thus limited to the
pool of traders who exhibit the requisite criminal intent.
This provision certainly does not "vest[] virtually
complete discretion in the hands of the police."
Gresham v. Peterson,225 F.3d 899, 907 (7th Cir.
2000) (internal quotation marks omitted).

Importantly,
the anti-spoofing statute's intent requirement renders
spoofing meaningfully different from legal trades such as
"stop-loss orders" ("an order to sell a
security once it reaches a certain price")[43] or
"fill-or-kill orders" ("an order that must be
executed in full immediately, or the entire order is
cancelled")[44] because those orders are designed to be
executed upon the arrival of certain subsequent
events. Spoofing, on the other hand, requires, an intent
to cancel the order at the time it was
placed.[45] The fundamental difference is that legal
trades are cancelled only following a condition subsequent to
placing the order, whereas orders placed in a spoofing scheme
are never intended to be filled at all.

At
bottom, Mr. Coscia's vagueness challenge fails. The
statute clearly defines the term spoofing, providing
sufficient notice. Moreover, Mr. Coscia's actions fall
well within the core of the anti-spoofing provision's
prohibited conduct, precluding any claim that he was subject
to arbitrary enforcement. Furthermore, even if his behavior
were not well within the core of the anti-spoofing
provision's prohibited conduct, the statute's intent
requirement clearly suggests that the statute does not allow
for ad hoc or subjective prosecution.

B.

Having
determined that the anti-spoofing provision is not void for
vagueness, we next address Mr. Coscia's contention that
the evidence of record does not support his spoofing
conviction. "In reviewing a challenge to the sufficiency
of the evidence, we view all the evidence and draw all
reasonable inferences in the light most favorable to the
prosecution and uphold the verdict if any rational trier of
fact could have found the essential elements of the crime
beyond a reasonable doubt." United States v.
Khattab,536 F.3d 765, 769 (7th Cir. 2008) (internal
quotation marks omitted). "[We] will not ... weigh the
evidence or second-guess the jury's credibility
determinations." United States v. Stevens, 453
F.3d 963, 965 (7th Cir. 2006) (citation omitted). Recognizing
that "it is usually difficult or impossible to provide
direct evidence of a defendant's mental state, " we
allow for criminal intent to be proven through circumstantial
evidence. United States v. Morris,576 F.3d 661, 674
(7th Cir. 2009).

As we
have noted earlier, a conviction for spoofing requires that
the prosecution prove beyond a reasonable doubt that Mr.
Coscia knowingly entered bids or offers with the present
intent to cancel the bid or offer prior to execution. Mr.
Coscia's trading history clearly indicates that he
cancelled the vast majority of his large orders. Accordingly,
the only issue is whether a rational trier of fact could have
found that Mr. Coscia possessed an intent to cancel the large
orders at the time he placed them.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;A
review of the trial evidence reveals the following. First,
Mr. Coscia&#39;s cancellations represented 96% of all Brent
futures cancellations on the Intercontinental Exchange during
the two-month period in which he employed his
software.[46]Second, on the Chicago Mercantile
Exchange, 35.61% of his small orders were filled, whereas
only 0.08% of his large orders were filled.[47] Similarly,
only 0.5% of his large orders were filled on the
Intercontinental Exchange.[48] Third, the designer of the
programs, Jeremiah Park, testified that the programs were
designed to avoid large orders being filled.[49] Fourth, Park
further testified that the "quote orders" were
"[u]sed to pump [the] market, " suggesting that
they were designed to inflate prices through illusory
orders.[50] Fifth, according to one study, only
0.57% of Coscia&#39;s large orders were on the market for
more than one second, whereas 65% of large orders entered by
other high-frequency traders were open for more than a
second.[51] Finally, Mathew Evans, the senior vice
president of NERA Economic Consulting, testified that
Coscia&#39;s order-to-trade ratio was 1, 592%, whereas the
order-to-trade ratio for other market participants ranged
from 91% to 264%.[52]As explained at trial, these figures
"mean[] that ...

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